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Twitter sentiment and stock return volatility of US travel and leisure firms

Author

Listed:
  • Syed jawad hussain Shahzad

    (Montpellier Business School)

  • Elie Bouri

    (School of Business, Lebanese American University, Lebanon)

  • Román Ferrer

    (Department of Financial and Actuarial Economics, University of Valencia, Spain)

Abstract

This paper examines the impact of firm-specific sentiment extracted from Twitter messages on the stock return volatility of US Travel & Leisure stocks. To this end, linear and nonlinear impulse response functions are estimated based on local projection techniques. We find that the return volatility of US Travel & Leisure firms increases in response to twitter messages in the short-term, particularly during periods of high uncertainty. Positive tweets have a stronger effect on stock return volatility than negative tweets, reflecting that positive Twitter sentiment has a clear incentive effect on retail investors in the US Travel & Leisure industry.

Suggested Citation

  • Syed jawad hussain Shahzad & Elie Bouri & Román Ferrer, 2023. "Twitter sentiment and stock return volatility of US travel and leisure firms," Economics Bulletin, AccessEcon, vol. 43(2), pages 1133-1142.
    • Handle: RePEc:ebl:ecbull:eb-22-00414
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2023/Volume43/EB-23-V43-I2-P94.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Tourism; Twitter; stock volatility; impulse response function; nonlinearity;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

    Statistics

    Access and download statistics

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